Locally and Asymptotically Minimax Tests of a Multivariate Problem
Locally and Asymptotically Minimax Tests of a Multivariate Problem
Let $X_1, \cdots, X_N$ be independent normal $p$-vectors with common mean vector $\xi = (\xi_1, \cdots, \xi_p)'$ and common non-singular covariance matrix $\Sigma$. Write $N\bar{X} = \sum^N_1 X_i, S = \sum^N_1 (X_i - \bar{X})(X_i - \bar{X})', b\lbrack i\rbrack$ for the $i$-vector consisting of the first $i$ components of a $p$-vector …